美国 CLO 经理 barometer：市值指标显示 normalization 迹象

August 2026 Market value metrics–signs ofnormalization Strength in loan prices over the last month are providing a constructive knock-oneffect for CLO Market Value metrics Jamie Flannick, Research AnalystConor O’ Toole, Managing Director ALL DEALS (BSL, inside + outside reinvestment)1 /Credit Metrics–at the headline, continued strength Credit metrics across US CLO portfolios continue to signal strength–Moody’s WARF fell by 14 bps, and at 2657 is now firmly below the2700 benchmark, a level the market had last seen in 2013 beforebroaching in April of this year. Trend SummaryS&P CCC exposure also saw an improvement, compressing by 10bps, and Moody’s Caa1 by 20 bps to reach 3.6 / 3.5%. Both arefirmly below their historical averages of 4.1% / 4.2% and point toCLO portfolios being able to successfully navigate, for the mostpart, BB / B downgrades to CCC. This points to renewed strength for lev loans, which are benefiting fromthe rethink around AI’s eventual impact on the Software sector.Tech /Software was the strongest performing sector in July for loans in CLOs,gaining roughly 100 bps compared to a cross-industry average of only +13bps.The positive trend for the sector has been a catalyst for the broaderheadline loan price due to how large the sector’s footprint is across theloan market. This is having a constructive knock-on effect for CLO market valuemetrics.Equity NAVs increased by 40 bps on the month to 37%,Weighted Average Portfolio Prices (WAPP) increased by 20 bps, and thenumber of loans priced below 90 points fell by 50 bps to 10%.These areall positive signals for the near-term health of CLO portfolios–loan pricesoftening tends to be a leading indicator of credit softening, which hasbeen a persistent concern since March. 2 /Market Value Metrics–signs of normalization Although loan prices have oscillated since Q2, driven in no smallpart by the broader market volatility surrounding sentimentshifts in AI capex and the on-again, off-again Iranian War, theheadline price for the Morningstar LLI has begun to normalize.Since June 30th, when the index dipped below 95, the headlineprice for the index has risen to 95.33, a 37-bps gain. Therefore, this month’s constructive read on CLO market value metrics atthe headline is noteworthy and should ease some of the credit concernsthat have been swirling since Q2. Trend Summary-portfolio metrics Although the m-o-m change tends to be marginal, the 3M and 1 YR comps often point to more material trendsWARFBB MV OC Distribution comparison The interquartile range (IQR, spread of the middle 50% of observations) can be used as a method formeasuring dispersion at different time periods, complementing a min vs max measure which captures the gapbetween the tails of a distribution. The IQRs for BB OC cushion and MVOC through the first week of Augustwere relatively unchanged from a trailing 3-month perspective. However, the WARF IQR did marginallyincrease by roughly 30 points to 169, indicating some a slight uptick in dispersion for the 50% cohort. Loan prices in CLOs–from a trough—to-dateperspective, Tech / Software has performed well sinceearly March, gaining 1.33% Relative Performance Table of ContentsMoody's WARF versus WAS positioning14WARF deltas16Caa1 & less (%) deltas18Rating barbelling: Moody's Caa1 versus WARF20Test cushion vs. current levels22Manager size effects: uniformity across platform size23Top 15 low and high WAS, WARF, Bid Depth24Summary across vintage and quarter of issuance27 Summary Metrics–deals (outside RP) Manager summary–All deals Manager weighted averages are shown for all deals in and out of reinvestment period. An excel file of the Manager summary (Alldealsin and out of reinvestment period, Deals within reinvestment period and Deals outside reinvestment period) can be foundhere.Note– ▪Portfolio WAS is an Intex derived figure, while W AS test WAS is a manager reported figure▪As of March 2026, we have switched the 2ndLien % to an Intex derived (rather than reported) figure▪Brant Point is a brand under the Sound Point umbrella. Manager summary–All deals Note–Manager weighted averages are shown for all deals in and out of reinvestment period. An excel file of the Manager summary (Alldealsin and out of reinvestment period, Deals within reinvestment period and Deals outside reinvestment period) can be foundhere. ▪Portfolio WAS is an Intex derived figure, while W AS test WAS is a manager reported figure▪As of March 2026, we have switched the 2ndLien % to an Intex derived (rather than reported) figure▪Brant Point is a brand under the Sound Point umbrella. Manager summary–All deals Note–Manager weighted averages are shown for all deals in and out of reinvestment period. An excel file of the Manager summary (Alldealsin and out of reinvestment period, Deals within reinvestment period and Deals outside reinvestment period) can be foundhere. ▪Portfolio WAS is an Intex derived figure, while W AS test WAS is a manager reported figure▪As of M